The Long Swings in the Spot Exchange Rates and the Complex Unit Roots Hypothesis

2014 ◽  
Author(s):  
Haitham A Al-Zoubi
Keyword(s):  
Exchange Rates ◽  
Unit Roots

scholarly journals CURRENCY LINKAGES AMONG ASEAN

2010 ◽  
Vol 55 (03) ◽  
pp. 459-470 ◽  
Author(s):  
CHIN LEE ◽  
M. AZALI
Keyword(s):  
Exchange Rates ◽  
Financial Integration ◽  
Unit Roots ◽  
Cointegration Test ◽  
Causality Test ◽  
Crisis Period ◽  
The Us ◽  
Us Dollar ◽  
Johansen Cointegration Test ◽  
Asean Countries

The purpose of this study is to examine the potential linkages among ASEAN-5 currencies, in particular the possibility of a Singapore dollar bloc during the pre- and post-crisis periods by using the Johansen multivariate cointegration test and the Granger causality test. Significant nonstationarity and the presence of unit roots were documented for each currency under both study periods. Using ASEAN-4 exchange rates against the Singapore dollar, the Johansen cointegration test showed that there was no cointegrating relationship during the pre-crisis period. However there were two statistically significant cointegrating vectors among ASEAN exchange rates for the post-crisis period. These findings imply that there is low financial integration before the crisis, but that ASEAN countries are financially more integrated after the crisis. This finding also indicates increasingly role of the Singapore dollar in ASEAN. Therefore, the Singapore dollar may be a possible candidate as the common currency for ASEAN. The analysis is repeated by adding the US dollar to the model. The finding ascertains the influence of the US dollar on ASEAN currencies before the crisis.

scholarly journals The impact of fiscal and monetary policies on unemployment problem in Nigeria (managerial economic perspective)

2015 ◽  
Vol 5 (2) ◽  
pp. 101-109
Author(s):  
Nick Attamah ◽  
Anthony Igwe ◽  
Wilfred Isioma Ukpere
Keyword(s):  
Monetary Policy ◽  
Exchange Rates ◽  
Money Supply ◽  
Positive Relationship ◽  
A Priori ◽  
Government Expenditure ◽  
Unit Roots ◽  
Monetary Policies ◽  
The Impact ◽  
Unemployment Problem

This paper investigates the impact of fiscal and Monetary Policies on Unemployment Problem in Nigeria and covers the periods 1980 to 2013. To achieve this, fiscal policy was captured here by government expenditures and revenues respectively while monetary policy was proxied by broad Money Supply (M2), Interest and Exchange rates respectively. The methodology adopted was econometric analysis employing OLS techniques and unit roots of the series were examined using the Augmented Dickey-Fuller after which the co-integration tests was conducted using the Engle Granger approach. Error correction models were estimated to take care of the short run dynamics. It was found that while government expenditure had a positive relationship with unemployment problem in Nigeria, the result of government revenue was negative and insignificant on unemployment problem. For monetary policy, it was found that money supply and exchange rate had positive and significant impact while interest rate has only a positive relationship on unemployment problem in Nigeria. This meets the a priori expectation. The study also revealed that increases in interest and exchange rates escalate unemployment by increasing cost of production which discourages the private sector from employing large workforce. On the other hand, national productivity measured by real GDP had a negative and significant impact on unemployment rate in Nigeria. This paper recommends that for an effective combat to unemployment problem in Nigeria, there should be a systematic diversion of strategies, thus more emphasis should be laid on aggressively pursuing entrepreneurial development and increased productivity. Again government should aggressively focus on investment, employment generation and economic growth that has mechanism to trickle does to the masses.

Mean Reversion in G-10 Nominal Exchange Rates

2006 ◽  
Vol 41 (3) ◽  
pp. 685-708 ◽  
Author(s):  
Richard J. Sweeney
Keyword(s):  
Exchange Rates ◽  
Unit Roots ◽  
Mean Reversion ◽  
Industrial Country ◽  
Monetary Policies ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Out Of Sample ◽  
Significance Levels ◽  
Floating Exchange Rates

AbstractAccording to conventional wisdom, industrial country floating exchange rates contain unit roots. SUR tests on panels of monthly Group of Ten (G-10) log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0.5% to 15%. On average, in out-of-sample forecasts mean reversion models beat random walks significantly in some forecast periods. For monthly data, the range of expected USD-DEM appreciation rates exceeds 15% per year in the mean reversion model. Mean reversion places strong restrictions on international models: over the sample period, the G-10 had to run monetary policies consistent with stable long-run nominal rates.

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